Could you tell me what it changes in your live?
It burns? If someone throw a snow ball in my head, it hurts?

It changes your life because when it falls, you often cannot go out anyplace far because the roads are slippery. Even walking is difficult because other people walk on the snow crushing it to a layer of ice that is slippery for walking.
Snow can cause frost burn and hurt to hold for a long time (have you ever held an ice cube?), but doesn't really damage since it melts fast in your hand. Snow blowing against your exposed face and ears can turn them red.

A snowball of fresh snow doesn't really hurt when it hits you. But if the snow had a chance to melt slightly and re-freeze, a snowball made of that snow will sting a little when it hits because it is made of tiny pellets of ice.